| Schedule of Repurchase Agreements By Term, Short or Long |
At June 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows:
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| (in thousands) |
June 30,
2021 |
|
December 31,
2020 |
| Short-term |
$ |
8,350,622 |
|
|
$ |
15,143,898 |
|
| Long-term |
— |
|
|
— |
|
| Total |
$ |
8,350,622 |
|
|
$ |
15,143,898 |
|
|
| Schedule of Repurchase Agreements by Maturity |
At June 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities:
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June 30, 2021 |
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Collateral Type |
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|
| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
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|
|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
2,086,324 |
|
|
$ |
833 |
|
|
$ |
11,453 |
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|
|
$ |
— |
|
|
$ |
2,098,610 |
|
| 30 to 59 days |
|
|
1,298,004 |
|
|
— |
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|
20,322 |
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|
|
— |
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|
1,318,326 |
|
| 60 to 89 days |
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|
2,317,399 |
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|
363 |
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|
1,238 |
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|
|
— |
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|
2,319,000 |
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| 90 to 119 days |
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|
1,346,855 |
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|
— |
|
|
9,768 |
|
|
|
|
— |
|
|
1,356,623 |
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| 120 to 364 days |
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|
1,133,063 |
|
|
— |
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|
— |
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|
125,000 |
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|
1,258,063 |
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| Total |
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$ |
8,181,645 |
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|
$ |
1,196 |
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|
$ |
42,781 |
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|
$ |
125,000 |
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|
$ |
8,350,622 |
|
Weighted average borrowing rate |
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|
0.22 |
% |
|
1.85 |
% |
|
0.79 |
% |
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|
|
4.00 |
% |
|
0.28 |
% |
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December 31, 2020 |
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Collateral Type |
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| (in thousands) |
|
|
Agency RMBS |
|
Non-Agency Securities |
|
Agency Derivatives |
|
|
|
Mortgage Servicing Rights |
|
Total Amount Outstanding |
| Within 30 days |
|
|
$ |
5,330,627 |
|
|
$ |
1,271 |
|
|
$ |
38,608 |
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|
|
$ |
— |
|
|
$ |
5,370,506 |
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| 30 to 59 days |
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|
4,292,861 |
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— |
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— |
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— |
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|
4,292,861 |
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| 60 to 89 days |
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|
2,060,087 |
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|
628 |
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|
1,519 |
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— |
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2,062,234 |
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| 90 to 119 days |
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|
1,598,052 |
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— |
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|
12,146 |
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— |
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|
1,610,198 |
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| 120 to 364 days |
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|
1,808,099 |
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— |
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— |
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— |
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|
1,808,099 |
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| Total |
|
|
$ |
15,089,726 |
|
|
$ |
1,899 |
|
|
$ |
52,273 |
|
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|
|
$ |
— |
|
|
$ |
15,143,898 |
|
Weighted average borrowing rate |
|
|
0.28 |
% |
|
2.33 |
% |
|
0.89 |
% |
|
|
|
— |
% |
|
0.28 |
% |
|
| Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets |
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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| (in thousands) |
June 30,
2021 |
|
December 31,
2020 |
| Available-for-sale securities, at fair value |
$ |
7,830,079 |
|
|
$ |
14,633,217 |
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| Mortgage servicing rights, at fair value |
295,112 |
|
|
— |
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| Restricted cash |
679,279 |
|
|
1,071,239 |
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| Due from counterparties |
6,606 |
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|
21,312 |
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| Derivative assets, at fair value |
50,416 |
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|
61,557 |
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| Total |
$ |
8,861,492 |
|
|
$ |
15,787,325 |
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